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Reaction of European bank stock prices to events of the Asian and Russian financial crises

Author

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  • Céline Meslier-Crouzille

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

  • Laetitia Lepetit

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

  • Amine Tarazi

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

Abstract

The aim of this paper is to examine the impact on bank stock prices of the Asian and Russian financial crises for a sample of European banks. This issue is of importance regarding financial fragility and contagion effects within the banking industry. We develop an event study methodology based on a large number of macroeconomic news and on public announcements of individual bank exposure during the sharpest episodes in 1997 and in 1998. Whereas bank stocks did not react promptly to the Asian crisis we show evidence of significant abnormal returns for a large number of banks to events of the Russian Crisis suggesting the presence of contagion effects.

Suggested Citation

  • Céline Meslier-Crouzille & Laetitia Lepetit & Amine Tarazi, 2006. "Reaction of European bank stock prices to events of the Asian and Russian financial crises," Post-Print hal-00790244, HAL.
    • Handle: RePEc:hal:journl:hal-00790244
    Note: View the original document on HAL open archive server: https://unilim.hal.science/hal-00790244
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    References listed on IDEAS

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    Cited by:

    1. Vintu Denis & Negotei Ioana-Alina, 2018. "Analysis of Financial Stability: The Construction of a New Composite Financial Stability Index for Euro Area," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 264-270, July.

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